Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0840 |
| Annualized Std Dev | 0.2449 |
| Annualized Sharpe (Rf=0%) | 0.3431 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3960.0000 |
| NAs | 1.0000 |
| Minimum | -0.1483 |
| Quartile 1 | -0.0059 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0075 |
| Maximum | 0.1616 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0154 |
| Skewness | -0.2340 |
| Kurtosis | 13.7081 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0112 |
| Gain Deviation | 0.0111 |
| Loss Deviation | 0.0124 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.6734 |
| Historical VaR (95%) | -0.0230 |
| Historical ES (95%) | -0.0371 |
| Modified VaR (95%) | -0.0217 |
| Modified ES (95%) | -0.0261 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-09 | 2008-11-20 | 2011-05-09 | -0.6734 | 968 | 349 | 619 |
| 2018-07-20 | 2020-03-18 | 2021-02-24 | -0.5925 | 654 | 418 | 236 |
| 2011-07-08 | 2011-10-03 | 2012-02-09 | -0.2396 | 150 | 61 | 89 |
| 2015-03-20 | 2016-02-08 | 2016-11-17 | -0.2191 | 422 | 224 | 198 |
| 2006-05-09 | 2006-08-09 | 2006-10-04 | -0.1441 | 104 | 65 | 39 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | -0.7 | 0.5 | -1.5 | 0.9 | 0.1 | 1.7 | -0.4 | 0.5 |
| 2006 | 1.2 | 0.8 | 0.1 | 0 | 1.3 | 0.8 | -1.2 | 0.6 | -0.9 | -0.6 | -0.9 | -0.4 | 0.7 |
| 2007 | 0.6 | -0.4 | 0.1 | 0.2 | 1.1 | -0.5 | 0.3 | 1.6 | 1.3 | -2.8 | 0.3 | -0.4 | 1.2 |
| 2008 | 2.8 | -2.1 | 3.3 | 2.2 | -0.3 | -1.4 | -0.3 | -0.8 | -1 | 3.9 | -6.7 | 4 | 3.1 |
| 2009 | -3.2 | -1 | 1.3 | -1.4 | 3.2 | 2 | -0.4 | -1.8 | -2.5 | -2 | 0.8 | -0.1 | -5.2 |
| 2010 | 1.8 | 1.4 | 0.4 | -2.3 | -3.3 | 0.4 | 0.2 | 4.3 | 0.7 | -0.2 | 1.7 | -0.5 | 4.3 |
| 2011 | 1.8 | -2 | -0.5 | 0.8 | -2.3 | 2.1 | 0.3 | -1.6 | -3.3 | -2.5 | -0.5 | -0.7 | -8.3 |
| 2012 | 1.3 | 0.6 | 0.5 | 0.2 | -4.1 | 2.5 | -1.2 | 0.2 | 0.1 | 1.3 | -0.7 | 2.3 | 2.9 |
| 2013 | 1.3 | 0.4 | -0.9 | -0.5 | -0.2 | 1.7 | 2 | -1.3 | 1.3 | -0.3 | 0.1 | -0.2 | 3.5 |
| 2014 | 0 | 0.1 | 2.2 | 0.5 | -0.2 | 0.9 | 0.1 | 0 | -2.5 | 0.5 | -1.3 | -0.1 | 0.1 |
| 2015 | -1.9 | -0.3 | -1.6 | 1.8 | 0.7 | -0.5 | 1.1 | -2.1 | 0.2 | -0.3 | 1.3 | -1.1 | -2.7 |
| 2016 | 1.2 | 1.9 | 0 | -0.3 | 0.5 | 0.6 | 0.1 | -0.3 | 0.8 | -0.9 | -0.1 | -0.8 | 2.7 |
| 2017 | -0.3 | 0.6 | 0.1 | 0 | 1.6 | 0.1 | 0.5 | 0.5 | 0.7 | -0.3 | -0.4 | -0.4 | 2.7 |
| 2018 | 0.5 | -1.7 | 0.9 | 0 | 0.8 | 0.1 | -1.2 | 0.5 | -1.6 | 1.1 | 0.2 | 1 | 0.5 |
| 2019 | -0.7 | 0.9 | 0.7 | -1 | -0.8 | 0.4 | -0.8 | 0.1 | -1 | -0.3 | -0.1 | 0.2 | -2.4 |
| 2020 | -2.1 | -0.8 | -7.8 | -4.5 | 2.5 | 1.4 | -0.1 | 0.5 | 0.7 | -1.3 | 1.9 | 0.6 | -9.2 |
| 2021 | 2.1 | 3.8 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-06-23 14.8 SPY 120. -0.0141 -0.0127 0.003 0.0232 0.0478 0.201 -0.182 GLD 44.0 0.0069 0.0129
2 2005-06-24 14.6 SPY 119. -0.0073 -0.0196 -0.0036 0.0142 0.0452 0.220 -0.199 GLD 43.9 -0.0027 0.0062
3 2005-06-27 14.5 SPY 119. 0.0014 -0.0185 -0.0075 0.0225 0.0502 0.219 -0.195 GLD 43.9 0.0002 0.0057
4 2005-06-28 14.6 SPY 120. 0.0084 -0.0109 -0.0008 0.0167 0.0547 0.208 -0.187 GLD 43.4 -0.0105 -0.0082
5 2005-06-29 14.6 SPY 120. -0.0027 -0.0143 0.00290 0.0159 0.0463 0.211 -0.177 GLD 43.6 0.0041 -0.0021
6 2005-06-30 14.6 SPY 119. -0.0054 -0.0057 -0.011 0.0149 0.0553 0.228 -0.174 GLD 43.4 -0.0044 -0.0132
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
